3 papers
math.OC2025
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by -divergences. The risk measures are allowed to be non-li…
math.OC2020
Improving Tractability of Real-Time Control Schemes via Simplified -Lemma
Goran Banjac, Jianzhe Zhen, Dick den Hertog +1
Various control schemes rely on a solution of a convex optimization problem involving a particular robust quadratic constraint, which can be reformulated as a linear matrix inequal…
math.OC2020
Tight tail probability bounds for distribution-free decision making
Ernst Roos, Ruud Brekelmans, Wouter van Eekelen +2
Chebyshev's inequality provides an upper bound on the tail probability of a random variable based on its mean and variance. While tight, the inequality has been criticized for only…